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Contagion across US and European financial markets: Evidence from the CDS markets

Apergis, Nicholas, Christou, Christina, Kynigakis, Iason (2019) Contagion across US and European financial markets: Evidence from the CDS markets. Journal of International Money and Finance, 96 . pp. 1-12. ISSN 0261-5606. (doi:10.1016/j.jimonfin.2019.04.006) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:76974)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
https://doi.org/10.1016/j.jimonfin.2019.04.006

Abstract

This study investigates whether contagion occurred during the recent global financial crisis across European and US financial markets. The methodologies used to test for contagion are based on changes in correlation, coskewness, cokurtosis and covolatility. These tests are applied to a set of bank sector CDS, insurance sector CDS, sovereign bonds, equity and volatility indices. The findings indicate significant evidence of contagion, especially through the channels of higher order moments.

Item Type: Article
DOI/Identification number: 10.1016/j.jimonfin.2019.04.006
Uncontrolled keywords: Cokurtosis, Correlation, Coskewness, Covolatility, Financial contagion, Financial crisis
Divisions: Faculties > Social Sciences > Kent Business School
Depositing User: I. Kynigakis
Date Deposited: 02 Oct 2019 15:21 UTC
Last Modified: 02 Oct 2019 15:23 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/76974 (The current URI for this page, for reference purposes)
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